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Fixed rate for payer's swaption that matures in six months | 7.00% |
Fixed rate for receiver's swaption that matures in six months | 7.10% |
Projected Swap Fixed Rate in six months | 7.20% |
Fixed rate for payer's swaption that matures in seven years | 8.40% |
Fixed rate for receiver's swaption that matures in seven years | 8.50% |
Projected Swap Fixed Rate in seven years | 9.20% |
Exchange rate (EUR per dollar) | 0.72 |
Swap interest rate in U.S. dollars | 3.40% |
Swap interest rate in euros | 5.80% |
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NP = $2,000,000 × (4 − 3) / 2
NP = $1,000,000.
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NP = 20,000,000 / 0.061The corresponding dollar amount is $364,298,725 = €327,868,852 / (€0.9/$). The annual interest payments on this amount would be $22,222,222 = $364,298,725 × 0.061.
NP = €327,868,852
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NP = 7,000,000 / (0.056 /4)
NP = €500,000,000
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NP = 10,000,000 / 0.05The corresponding dollar amount is $222,222,222 = €200,000,000 / (0.9€/$). The annual interest payments on this amount would be $12,000,000 = $222,222,222 × 0.054.
NP = €200,000,000
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